Zebra finches, how to?

Hello there!
So, it was my birthday the other day and since my boyfriend would rather us not have a dog or cat in our apartment (boo-hoo), my friends bought me this lovely pair of zebra finches. http://www.finchworld.com/Zebra.html
Now, I've never had birds before, but I did read some about these after I got them. Opinions are shared tho, and I don't know what to do anymore. I'm a very very compassionate person and it breaks my heart to see them in this little cage here, but I think that they're doing better than in the pet-shop where they shared the same cage with other 923408620568 fellow birds.

My dilemma is, to let them out in the room or not... I've read that they come back to the cage themselves when they get hungry, but I only have them for 2 days, and I'm not sure they even like me >.< I would make sure they have no way to get out of the room, but still... Others say "omg noes don't ever set them free zomg wtf"
Some people said they were whistling and they would come back so I started whistling at them... They sing back, lol!
They are pretty active from what I've seen, but the female looks rather agitated today :-s
As far as coming back for food is concerned, I can see they're eating all day long, so they should get hungry pretty fast... I hope.

So, does anyone have such little brats in their care? How to deal with them?

I whould leave them in the cage for now, just keep them in the cage, if you do wanna let them out, make sure there are no cramped places they can fly into and get stuck or any places they can escape, other than that, keep them in the cage for now and start earning their trust by giving them treats and act mellow around them

Seeing as they're from the pet store and very likely not tame, I would recommend taking them out one at a time in a small room without sharp objects, stuff they can get stuck in etc, and just sitting with them for a few minutes each day so they get used to you.
Hand feed them some seeds, once they learn to trust you you can let them out.

Also, if you do plan on getting more birds, make sure you get them from a breeder that hand raises them, as they are already tame and you wont have to even think about leaving the cage door open. One at a time is preferable so that they bond with you and not another bird.

Remember to close the windows as well. I've lost a few finches myself when I forgot to close the windows while cleaning their cage. (These were pet store ones and not tame, so they didn't come back either )

Indeed, they are totally not tame... They (the female at least) act like I'm the antichrist when I get near the cage Today, at least - she was nicer yesterday >.<
2 more things...
1. The male has, at both back claws, some weird things... to me, it looks like dry poop, and not some genetic thing, but if someone saw anything like it, enlighten me please. He doesn't look sick-ish at all, he looks in the mirror all the time, plays with the toys, jumps all over the place (he was a bit shy in the beginning), cleans himself and all.
2. They will totally NOT bathe in the thing I put in there for them... They just poop in it all the time >.<
And I have no idea how to clean their cage without making them panic

I wouldnt let them out the chage right now, i would start by trying to get them to perch on your finger or at the least get them used to you being close to them.
If they do hop onto your finger you can let them out but you should make sure the windows are closed and there is some sort of screening on the windows cause they will fly head first into a bare window.
If you havnt got them on your finger wait a few weeks untill they are used to the new cage.

As for cleaning the cage a towel or over the top of it should quiet them down(makes them think its night) the cage should have clips on the bottom unclip and temove the top and put it on the table, clean the bottom then put it back together again...then do the bars one at a time.

1) a nest where they can sleep in, something like:
2) a bath for them to bath in, i only see a drinking bucket in your picture:

as for cleaning the cage, just make sure you unlock the bottom part, then lift the cage and slide the bottom aside.
clean it and slide it back under

here is a picture of my birds:

---------- Post added 2011-02-28 at 01:34 PM ----------

btw, finches from a shop are best to let in their cage, they will fly back and they will not return
you can try to see if they will lay some eggs, the new birds can be trained to sit on your shoulder and return to their cage.

I have such a nest and some linen for them to "build" it properly but I was told not to put it in yet, unless I want eggs right away :S
I don't have a bath like the one you showed but a smaller, glass thingie which was out at the moment of the pictures because it was full of poop -.-

The cage has a little plastic thing underneath, where I put the sand, that's easy to take away and clean but they poop on the bars also (not hard to clean with a bit of material) and on the plastic bottom - this is what's difficult to clean. I checked now and I can remove that part, I just hope they don't flee when I do that QQ
Thank you very much